Step 1: Gather Items

Snowfall.
A Glass slide.
A Cover slip.
A Piece of cardboard.
Glue.
Tweezers.

Step 2: Put items in freezer

Place the glass slide, clover slip, cardboard and tweezers in a freezer and wait for approx 1 hour.

Step 3: Put glue in freezer

Put glue in freezer 10mins before taking out the slide, slip, cardboard and tweezers.

Step 4: Catch snowflakes on cardboard

Once it starts to snow, take the glass slide, slip, cardboard, tweezers and glue from the freezer and head outside.

Stand in your doorway to protect everything from falling snow.

Head out with the cardboard and catch a few snowflakes. Get more than 5 so that you have room for error.

Step 5: Put snowflake on slide

With the tweezers gently try to transfer a snowflake to the glass slide.

Put a small drop of glue into the middle of the snowflake.
Immediately place the cover slip on top of the snowflake pushing down very gently.
There should be a little gap between the slide and cover slip so as to not squash the snowflake.

Step 6: Put slide in the freezer

Place the slide in the freezer for a minimum of 2 days.
The glue should dry around the snowflakes while they are still frozen.

Step 7: Take out

When 2 days have passed, it is safe to hold the snowflakes without having them melt.
The slide looks like this under a microsocpe.

I got a snowflake preservation kit when I was a kid from the Edmund Scientific Catalog (had a lot of neat things but expensive) and I seem to remember that you would freeze the slides, go catch the flakes on the cold slides and then drop the preserving stuff on them. Didn't have the patience and snowfall opportunity at the same and only got a couple of partial flakes.